This dissertation contains two essays studying panel data econometric models. First, we consider the problem of estimating a nonparametric panel data models with fixed effects. We propose using the profile least squares method to concentrate out the fixed effects and then estimate the unknown function by the kernel method. We show that our proposed estimator is consistent and has an asymptotically normal distribution. Monte Carlo simulations show that our proposed estimator performs well compared with several existing estimators. Second, we study the effects of Hong Kong’s fixed exchange rate against U.S. dollar using a novel panel data method. After the 1997 Asian Financial Crisis, many of the Asia countries adopted flexible exchange rate policies while Hong Kong still keeps its fixed exchange rate. By comparing Hong Kong versus its major trading partners, we show that if, like other Asian countries, Hong Kong had adopted a float exchange rate policy in October 1998, Hong Kong’s (counterfactual) total value of exports would increase by 14.65 %. Similarly, Hong Kong’s total value of imports would increase about 31%. We conclude that Hong Kong dollar is overvalued by 9.34% due to its fixed exchange rate policy.

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This thesis examines the efficiency of the price discovery mechanism in small regional markets utilizing the feed grain markets in the Maritime Provinces of Canada as a case study. Through the application of the Law of One Price (LOP), price transmission symmetry and Vector Error Correction Models (VEC), the author determined the price relationships that exist between the feed grain market in the Maritime Provinces and those in Western and Central Canada as external sources of supply. / The results suggest that there exists a relatively high degree of arbitrage between Maritime feed grain prices and those of Thunder Bay or Chatham for equivalent quality, price transmission being strictly from West to East. Although the LOP hypothesis must be rejected in the short run, in most cases, it was found to hold in the long run. Local markets appear to be highly integrated and price adjustment occurs within a period of four to six weeks, generally corresponding to the lead time of feed grain orders and transportation from Western Canada. A price transmission analysis found no evidence of the exercise of market power in the pricing of local grain. / In general, the pricing of local grains in the Maritimes may be judged as efficient considering that the lag in price response corresponds to the replacement period for Western grains.

The impacts of tariffication on Canadian milk producers were estimated via supply, price and trade flow parameters using a spatial price equilibrium model applied to milk production regions of Canada and the United States. / Two price scenarios were put forward because of supply management in Canada. The first incorporated producer prices while the second used shadow prices for Canadian producers, defined as the producer price less a reduction in price which accounts for the value of production quota. The hypothesis that tariffication reduces milk production in Canada to the extent that U.S. producers increase their exports to Canada was partly supported in scenario one but not in scenario two. Specific tariffs of $11.00/hl prevented U.S. imports to reach Qu 'ebec and Ontario. However, the rest of Canada increased its imports from Great Lakes to the detriment of Quebec and Ontario. Consequently, production decreased slightly in Qu 'ebec and increased in Ontario, whereas prices decreased significantly in both provinces. Scenario two showed ability of Qu 'ebec and Ontario to withstand American competition. Prices and production level remained unchanged while export flows to the rest of Canada increased to the detriment of the Great Lakes. / The present study investigated only a specific aspect of the tariffication proposal in the GATT and does not intend not to reflect the very complex aspects of GATT negotiations. The findings of this analysis must be interpreted with this caveat. Further studies considering other plausible tariffication scenarios or effective tariffs on an individual dairy product basis would broaden our understanding of the potential implications of tariffication.

This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets. / The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of domestic and international asset returns. It then specifically proposes several areas for investigation related to international finance topics. The first essay investigates the importance of asymmetric volatility when computing the risk premium of international assets. The results indicate that conditional second moment asymmetry is significant and time-varying. They also show that, if the price of risk is time-varying, the world market and foreign exchange risk premia estimated without allowing for time-varying asymmetry are less consistent with the data. Furthermore, they imply that asymmetry is more pronounced when the business condition is such that investors require higher compensation to bear risk. / In the second essay we start from the consideration that financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this essay is then to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the implied volatilities explain a large share of the variation in realized volatility. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified. / In the third essay we examine whether the information contained in various measures of correlation among exchange rates can be used to assess future currency co-movement. We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2's, explaining up to 42 per cent of the realized correlations.

Denna rapport syftar till att reda ut vad utländska turister anser om priserna i Stockholm och om höga priser på en destination kan resultera i att turister väljer bort det som resmål. Detta har vi valt att undersöka genom ett kvantitativt förfarande och vi har även valt att utgå från konsumentbeteende för att förstå hur turisters beslutsprocess ser ut i valet av resmål. Vårt resultat visar på att priset på destinationen och då framförallt hotellpriserna och priser på transport är en stor faktor i turisters beslutsprocesser. Dessutom svarade en stor andel av våra respondenter att de skulle välja bort ett resmål om de ansåg att priserna var för höga. Majoriteten ansåg att turistprodukterna i Stockholm vi presenterade var från medel upp till väldigt dyra. Dock så behöver det inte betyda att turister skulle välja bort Stockholm då priskänsligheten beror på flera faktorer. I och med att Stockholm har en hög andel affärsresenärer behöver priserna inte nödvändigtvis vara ett problem om de vägs upp av högre service och kvalité vilket enligt vår undersökning inte är fallet med Stockholm. Det vi kan säga utifrån vårt resultat är att Stockholms turism skulle kunna gynnas om det tillkom fler budgetalternativ samt om servicen och kvalitén på de dyrare produkterna och tjänsterna förbättrades. / This thesis aim is to study how international tourists perceive prices in Stockholm and if high prices at a destination can result in them choosing not to travel there. We chose to examine this through a quantitative approach and a consumer behavior perspective to understand how the tourists’ decision-making process works when choosing a holiday destination. Our results show that price is the main factor when tourists are planning their holiday, specifically accommodation and transportation prices at the destination. Furthermore, a great deal of our respondents answered they would choose not to visit a destination if they perceived the prices as high. The great majority of our respondents did answer that the goods and services we presented to them where from mid-range price to very expensive. However, that doesn’t necessarily mean that tourists would discard Stockholm as their holiday destination because consumers’ price sensitivity depends on several factors. Stockholm has a great deal of business travelers who are quite price insensitive but high prices could be weighed up by better service and higher quality, which isn’t the case for Stockholm according to our results. What we can assert from this study is that the tourism in Stockholm could benefit from having some budget alternatives and that the quality and service of expensive goods and services becomes better.

Many countries such as Australia, Ireland, Netherlands, United Kingdom (UK), Spain, United States of America (USA) and South Africa (SA) among others have experienced an increase in housing prices, since the late 1990s. In SA, the abrupt increase in residential property prices, particularly during the period 1999 to 2007, resulted in an improvement in the level of households’ net wealth position. Empirical investigations, mainly from developed countries, provide evidence indicating that a house price increase has a significant impact on the households’ wealth, and thus house price gains increase housing collateral for homeowners which make it possible for them to take out equity in the form of refinancing or selling of the house to finance consumption. With the above in mind, this study investigates the relationship between aggregate expenditure on consumption by households and residential house prices in South Africa. Following the permanent-income/lifecycle hypothesis (PI-LCH), this study applies the vector error model (VECM) into the 1980:Q1 to 2007:Q4 quarterly data sample. The overall finding of the study indicates there is indeed a long-run positive relationship between housing prices and consumption in South Africa. / Thesis (M.Com.)-University of KwaZulu-Natal, Westville, 2010.

This research was conducted to determine whether the intrinsic share values that are obtained using the EVA valuation model are an indicator of share prices as quoted on the JSE Securities Exchange. The research did not differentiated between companies that have implemented EVA in South Africa and those that have not. The research was conducted by performing EVA intrinsic share price calculations for 43 companies listed on the JSE Securities Exchange. These EVA share prices were correlated to the actual share price as quoted on the JSE Securities Exchange, for the current and lagged periods of one and two years. The resultant correlation coefficients were tested for significance at the 5% level. The results show that there is no statistically significant correlation between the EVA intrinsic share values and the share price as quoted on the JSE in both the same and lagged periods. Hence we cannot conclude that EVA is an indicator of share price. / Thesis(MBA)-University of Natal, Durban, 2003.

Pharmaceuticals are a crucial component of delivering healthcare, hence regulating pharmaceutical markets is a complex issue involving dynamic interplay of multiple actors. The South African healthcare industry is plagued with past problems and new ones created by cumbersome legislation, changing economic conditions and rapid cost escalation. The core objectives of the 2004 medicines pricing legislation were; effective care and use of resources; high quality services and responsiveness; accessibility and affordability of medicines for consumers. This study explores the impact of the new medicine pricing regulations on independent community pharmacies in KwaZulu-Natal, wherein 115 out of a total of 364 independent pharmacies participated. The main aim was to determine the number of pharmacies that closed and the emerging trends in this sector by qualitatively and quantitatively analyzing the legislation, policy implementation and its impact on various stakeholders. Data was collected via semi-structured interviews; a survey questionnaire and document analysis. The study revealed that, more consultation was needed for a sustainable dispensing fee since between 72 and 83 pharmacies had closed in KZN from 2003 to 2009; due to them being uneconomical. Tools used to illustrate legislative impact were Porter’s value chain, Force-Field analysis and the Fish-Bone diagram. The emerging trends underscored government’s need to provide a democratic environment conducive to small business growth, with the recommendation that policy makers strategically respond to the real world in which health sector reforms must be implemented. / Thesis (MBA)-University of KwaZulu-Natal, 2009.

The market structure of the food retailing industry has evolved to one which is comprised of numerous types of outlets, each using different basic strategies for doing business. A field experiment was implemented in stores which were assumed to operate with strategically opposite marketing philosophies. Results demonstrate that when prices were either raised or lowered, the sales in the stores that use "low pricing" as a core strategy were affected more than the stores which use a strategy other than low price. A survey conducted in the test stores shows that the shopping profiles of the customers in both store types differ. Statistically significant differences between the two customer groups as to ideal store attributes desired, lifestyles (A.I.O.'s) and demographics were determined. The results yield important implications for theory, methodology and for managers in all levels of the distribution channel.